Finance (Work-study): Master's Year 1

Ects : 3

Lecturer :
MATTIA GIROTTI

Total hours : 24

Coefficient : 0.5

Ects : 6

Lecturer :
CAROLE GRESSE

Total hours : 36

Overview :

Le cours présente les principes fondamentaux de la gestion obligataire. Il commence par un descriptif des titres de dette, des marchés de taux d’intérêt, et des risques associés à l’investissement obligataire. Le cours rappelle les principes du modèle traditionnel d’évaluation des obligations et explique comment mesurer la rentabilité d’un investissement obligataire. Il explique les relations liant les taux de rendement actuariels, les taux zéro-coupon et les taux à terme en se référant à l’évaluation par absence d’opportunité d’arbitrage, pour ensuite présenter la structure à terme des taux d’intérêt. Le cours analyse également le risque de taux d’intérêt, ses mesures, et l’impact du risque de crédit sur l’évaluation des obligations du secteur privé.

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Recommended prerequisites :

Mathématiques financières au niveau Licence

Require prerequisites :

Mathématiques financières en L3 pour les étudiants de la licence "Management et gestion des organisations" de Dauphine.

Learning outcomes :

A la fin de ce cours, les étudiants devraient : - savoir évaluer des obligations classiques par l’actualisation traditionnelle et par application du principe d’absence d’opportunité d’arbitrage, - connaître les principaux risques affectant la valeur d’un portefeuille obligataire et savoir les apprécier, - savoir mesurer le risque de taux par la duration et la convexité, - savoir établir les taux zéro-coupon et les taux à terme à partir de taux de rendement actuariels, et inversement, - connaître les principales théories expliquant la structure à terme des taux d’intérêt.

Assessment :

Participation en TD : 20% Examen final : 80%

Learn more about the course :

moodle.psl.eu

Bibliography-recommended reading

Gresse, Carole, Marchés de Taux d’Intérêt, 2017, Economica.

Ects : 6

Lecturer :
FABRICE RIVA

Total hours : 36

Overview :

Plan du cours :

• Partie 1 : Organisation des marchés, coûts de transaction et liquidité
• Partie 2: Rentabilité, risque et théorie du portefeuille
• Partie 3 : Attitude envers le risque et modèles d'évaluation des actifs
• Partie 4 : Efficience informationnelle
• Partie 5 : Utilisation pratique des modèles d'évaluation des actifs

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Recommended prerequisites :

Bien que des rappels seront faits en classe des des outils mathématiques et statistiques nécessaires pour comprendre les différents concepts utilisés durant le cours, les étudiants doivent avoir une connaissance préalable des concepts suivants: calcul (dérivées, développements de Taylor), probabilités (variables aléatoires discrètes et continues, moments, covariance, corrélation), statistiques (estimateurs, régression linéaire), algèbre linéaire (opérations matricielles) et optimisation (lagrangien)

Learning outcomes :

Course objectives

The objective of this course is to acquaint students with the concepts that are key to understand the functioning of capital (mostly equity) markets. The course is divided in five parts.

Part 1 is about the organization of trading. The structure of European Stock Exchanges has been considerably evolving over the last 20 years. These evolutions have been fostered by the progress made in information technologies and the changes in the European regulatory environment. Open-outcry markets have been progressively replaced by computer-assisted trading markets. Stocks can now be traded continuously, new trading protocols such as MTF (Multilateral Trading Facilities) and Dark Pools have emerged, real-time remote access to markets has been made possible, high frequency trading has become more prevalent (latency times are now lower than 1 millisecond) while trading costs have experienced a dramatic decline. The financial intermediation profession has been evolving too. ISD (Investment Services Directive) constitutes a major change for the European regulatory environment. The concentration of orders on a single stock exchange is no longer mandatory and former national monopolistic stock exchanges must now compete with new entrants. Euronext market share has dropped from 100% to less than 50% as stocks of major European companies can now be traded on several trading venues. To gain understanding in the recent trends that characterize the stock exchange industry it is important to understand where transaction costs (both explicit and implicit) and liquidity arise from. This will be the subject of the first part of the course with a particular focus on the evolution of the Paris stock exchange.

Part 2 covers the core concepts of return, risk and the optimization of the risk-return tradeoff through efficient portfolios. After introducing the definition of returns (discrete and continuous) and various risk measures (volatility and Value at Risk – VaR) for single assets, the course moves to the analysis of the joint behavior of assets when these are combined into portfolios. This will allow student to understand the benefits of diversification, which is a first step towards the computation of efficient portfolios through the Markowitz’s program and the determination of asset efficient frontier.

Part 3 is about how investors account for risk in their investment decisions. This part shows how to characterize risk aversion and how risk aversion is accounted for in equilibrium. This part allows to establish the expression of the CAPM (Capital Asset Pricing Model) and, after highlighting some limitations of this model, to introduce multi-factor pricing models (essentially Fama and French 3-factor model).

Part 4 analyzes how information is incorporated into prices. The erratic behavior of stock prices may cast doubt about their actual meaning. Do stock prices convey valuable information? Is there an incentive for firms to be publicly-traded? On an informationally-efficient market, the expected gain from price forecasts is equal to 0. Is it the case? Although there exist so-called market anomalies (abnormal returns), further examination of abnormal returns shows that these arise mostly as a form of compensation for hidden costs (transaction costs, information costs) and risks.

Part 5 is more practical as it illustrates how the concepts developed in parts 1 to 4 can be used by decision makers. We will focus on investment decision, financing decision and portfolio managers performance measurement.

Course outline

Introduction : The Role of Financial markets

PART I: Stock exchanges and their organization

• Markets and their structure
• Organization of trades
• Liquidity and transaction costs
• The role of regulation and technology

PART 2: Risk and return

• Stock market indices
• Calculating returns
• Risk of a single asset
• Risk of a portfolio
• Portfolio theory

PART 3: Attitude toward risk, market equilibrium and asset pricing models

• Attitude towrad risk
• Risk-free asset and 2-fund separation theorem
• CAPM
• Beyond CAPM (Multi-factor models)

PART 4 : Market efficiency and price anomalies

• Information efficiency
• Sources of efficiency
• Characterization of efficient prices
• Three forms of efficiency
• Tests of efficiency
• Anomalies and behavioral finance

PART 5: Applications

• Performance measurement
• Capm and the cost of capital
• Investment decision

Assessment :

References

Class handouts are downloadable from course webpage on MyCourse Bodie Z., A. Kane, A. Marcus, 2014. Investments. McGraw-Hill, 10th ed.Harris, L., 2003. Trading and Exchanges: Market Microstructure for Practitioners. Oxford University Press. Harris, L., 2003. Trading and Exchanges: Market Microstructure for Practitioners. Oxford University Press. Hillier D., Grinblatt M. and S. Titman, 2011. Financial Markets and Corporate Strategy. Irwin-Mc Graw Hill, 2nd European edition. Madura, J. 2015. Financial Markets and Institutions. South Western, 11th ed.

Bibliography-recommended reading

• Berck J. et DeMarzo P., "Finance d'entreprise", Pearson (5ème édition)
• Hamon J., "Bourse et Gestion de Portefeuille", Economica (5ème édition)
• Le Saout E., "Introduction aux Marchés Financiers", Economica (5ème édition)

Ects : 3

Lecturer :
MARIE-AUDE LAGUNA

Total hours : 18

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Ects : 6

Lecturer :
JUAN RAPOSO

Total hours : 36

Coefficient : 1

Ects : 6

Lecturer :
SABRINA BUTI

Total hours : 36

Overview :

This course covers the analysis of derivative instruments such as forwards, futures, swaps and options. By the end of the course, students will have good knowledge of how these contracts work, how they are used and how they are priced.

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Learning outcomes :

• Be able to describe and explain the fundamental features of a range of key financial derivative instruments
• Be able to decide which securities to use for hedging and/or speculative purposes
• Understand the no-arbitrage principle and its role in pricing financial forwards and futures
• Understand the binomial approach in pricing European and American options
• Understand the Black-Scholes option formula for the price of a European option
• Define and interpret the different Greek measures used to define the risk of options
• Understand the idea of delta-hedging

Assessment :

Midterm exam (40% of the final grade) and Final exam (60% of the final grade).

Bibliography-recommended reading

- Options, Futures, and Other Derivatives, 11th Edition, Hull, John C., Pearson-Prentice Hall (2021). - Student Solutions Manual for Options, Futures, and Other Derivatives, 11th Edition, Hull, John C., Pearson-Prentice Hall (2021).

Ects : 3

Lecturer :
Arnaud SIMON

Total hours : 21

Overview :

Fondamentaux des marchés immobiliers : résidentiel, bureaux, commerces, logistique. Introduction aux déterminants démographiques et économiques, introduction à la géographie des marchés immobiliers.

Coefficient : 0.5

Learning outcomes :

Introduction à une analyse rigoureuses des marchés immobiliers.

Ects : 3

Lecturer :
ZORAN FILIPOVIC

Total hours : 24

Overview :

(Subject to adjustments) 1. Financial Analysis (review) Value creation, WACC, DCF 2. Valuation Techniques Valuation with changing capital structure, Adjusted Present Value (APV), Economic Value Added (EVA), Venture Capital Method, Valuation by parts, Real options, Earnouts 3. Applications and special situations Leveraged Buyouts (LBO), Mergers and acquisitions (M&A), Private companies, High-growth companies, Emerging markets, Cyclical companies

Coefficient : 0.5

Recommended prerequisites :

This is a master-level course that assumes students have had prior exposure to basic corporate finance principles, cash-flow discounting techniques and introductory accounting. Students should also be able to proficiently use Microsoft Excel and be able to access .pdf documents.

Learning outcomes :

This course introduces advanced valuation techniques for analysis of a business, with focus on their usefulness in valuing and financing companies and in the evaluation of corporate performance. We will apply the techniques on real world cases such as leveraged buyouts (LBO) and mergers and acquisitions (M&A) and analyse several special situations like high-growth companies, emerging markets and private companies. Throughout the semester we will make extensive use of case studies so that you can gain the knowledge of the relevant theory and techniques and an ability to use them in actual situations. The course will combine traditional lectures, exercise sessions and case method teaching. You will be working individually and in groups.

Assessment :

• Final written exam • Group work The numerical grade distribution will dictate the final grade. The passing grade for a course is 10/20. Class participation: Active class participation is encouraged thus all students should be able to verbally participate in class discussions. Class participation is based on quality of comments, not quantity. Come on time and prepared.

Bibliography-recommended reading

• Valuation: Measuring and Managing the Value of Companies, University Edition, by Tim Koller Marc Goedhart and David Wessels, McKinsey& Company, John Wiley & Sons, 2015, 6th edition • Investment Banking: Valuation, Leveraged Buyouts, and Mergers and Acquisitions, by Joshua Rosenbaum and Joshua Pearl, John Wiley & Sons, 2nd edition • Valuation: Mergers, Buyouts and Restructuring, by Enrique R. Arzac, John Wiley & Sons, 2nd Edition • Corporate finance, Theory and Practice, by Pierre Vernimmen, Pascal Quiry, Maurizio Dallocchio, Yann Le Fur and Antonio Salvi, John Wiley & Sons, 5th edition • Vernimmen English website: www.vernimmen.com • Data sources: COMPUSTAT, Companies ’ websites

Ects : 3

Coefficient : 1

Ects : 6

Lecturer :
JACQUES AMAR

Total hours : 36

Overview :

Les sociétés ont des besoins de financement pour assurer leur croissance tant interne qu’externe. Aussi peuvent-elles recourir à diverses sources (fonds propres, dette obligataire, endettement bancaire, mobilisation de créances, etc.). Le droit du financement éclaire sur l’opportunité et la faisabilité, en droit, d’une opération. L’objectif de ce cours est de présenter aux étudiants un panorama des instruments de financement, d’expliquer leur fonctionnement juridique et d’examiner les raisons qui justifient, selon la situation et les objectifs de la société, le choix de tel ou tel instrument.

Le cours se divise en trois parties d’inégales importances : la première porte sur les valeurs mobilières, la deuxième sur les opérations de crédit et la troisième sur les financements structurés.

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Recommended prerequisites :

L’étude préalable du droit des obligations est recommandée.

Learning outcomes :

Connaissance des mécanismes juridiques permettant à l’entreprise de se financer.

Assessment :

L’enseignement fait l’objet d’un contrôle continu (40 %) et d’un examen en fin de semestre (60 %).

Bibliography-recommended reading

- Z. Sekfali, Droit des financements d’entreprise, Revue Banque, 2e édition, 2018 - J.-M. Moulin, Droit de l’ingénierie financière / Le droit du financement du haut de bilan des sociétés, Gualino, 5e édition, 2015 - A. Couret, H. Le Nabasque et alii, Droit financier, Dalloz, 3e édition, 2019 - Th. Bonneau, Droit bancaire, LGDJ, 13e édition, 2019

Ects : 3

Lecturer :
JEROME DUGAST

Total hours : 24

Overview :

The module begins with an overview of the institutional characteristics of the foreign exchange market and subsequently examines the fundamental determinants of exchange-rate dynamics. Emphasis will be given to the implications of these outcomes for exchange rate forecasting, international diversification and investment decisions.

Coefficient : 0.5

Learning outcomes :

The aim of this module is to provide a thorough foundation of the key concepts in international finance with a focus on exchange rate economics. By the end of the course the students will be familiar with both the theoretical models and the empirical evidence regarding exchange-rate behaviour.

Assessment :

The module is assessed via an assignment (30%) and final exam (70%).

Bibliography-recommended reading

Suggested Textbooks:

Bekaert, G. and R.J. Hodrick (2009). International Financial Management. New Jersey: Pearson Education.

Sarno, L. and M.P. Taylor, (2005), The Economics of Exchange Rates, Cambridge University Press.

Ects : 3

Lecturer :
PASCAL DUMONTIER

Total hours : 13

Overview :

Le cours recouvre 5 thèmes : les IFRS et la juste valeur, l'évaluation des immobilisations, les actifs et passifs financiers, les opérations de couverture, les provisions et avantages au personnel.

Coefficient : 0.5

Recommended prerequisites :

Une bonne connaissance des modalités de l'enregistrement comptable et de la construction des états financiers ou la capacité/volonté de les assimiler rapidement

Learning outcomes :

Maitrise des règles d'évaluation et de comptabilisation préconisées par les normes comptables internationales (IFRS).

Assessment :

CC (préparation des cas et participation aux cours) = 25%

CT (examen final écrit) = 75%

Bibliography-recommended reading

Ramond-Paugam-Casta-Batsch, ‘Evaluation financière et normes IFRS’, Economica (2017) Raffournier, ‘Normes comptables internationales - IFRS’, Economica (2019)

Ects : 3

Lecturer :
NICOLAS DOREMUS

Total hours : 18

Coefficient : 0.5

Ects : 6

Lecturer :
TRISTAN ROGER

Total hours : 36

Overview :

- La gouvernance d’entreprise - Les théories de la structure financière - Théorie des options et structure financière - Les choix d’investissement dans un contexte d’incertitude - La politique de rémunération des actionnaires

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Learning outcomes :

- Ce cours donne les bases théoriques sur lesquelles se fondent les principales décisions financières de l’entreprise.